I totally messed-up my HD. I hat an debian installation that was far from ok, and then I experimented with dual boot.
To make the story short: I made a mess!

Today I feel like cleaning so, what I want to do is clean out the hole HD (after backing up my important files of course!) and begin all over again.
In windows I used to format the hole thing and it was clean. But how can I do this with Linux?

You make a filesystem on it; that will erase any previous data. Making a filesystem is done by the command
mkfs.<filesystem_type>
So, if you want to make an ext2 filesystem, mkfs.ext2 is your friend. Note that Linux install CDs are always clean the HDD (if they aren't asked not to do so), so if you want to install a new linux, just boot the install CD, it will do the rest.

During the installation process, Linux will ask you if you want to partition your hard disk. If the disk is already partitioned, and valid ext2 and swap partitions are found, this step will be optional.
While partitioning your disk, you can remove the windows partition, and create new partition(s) instead. This way, all the data will be lost with the deleted partition.